Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0825 |
| Annualized Std Dev | 0.2710 |
| Annualized Sharpe (Rf=0%) | 0.3045 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5251.0000 |
| NAs | 1.0000 |
| Minimum | -0.1152 |
| Quartile 1 | -0.0080 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0093 |
| Maximum | 0.1724 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0171 |
| Skewness | 0.0371 |
| Kurtosis | 5.4373 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.6240 |
| Historical VaR (95%) | -0.0260 |
| Historical ES (95%) | -0.0395 |
| Modified VaR (95%) | -0.0256 |
| Modified ES (95%) | -0.0388 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-23 | 2015-12-15 | NA | -0.6240 | 2410 | 1086 | NA |
| 2008-03-18 | 2008-10-23 | 2009-11-25 | -0.4469 | 429 | 154 | 275 |
| 2003-02-05 | 2003-06-11 | 2004-01-09 | -0.2532 | 235 | 88 | 147 |
| 2006-05-12 | 2006-09-20 | 2007-10-26 | -0.2364 | 368 | 91 | 277 |
| 2004-04-02 | 2004-05-13 | 2005-12-07 | -0.2175 | 425 | 29 | 396 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 0 | 0 | 0 | -1.9 | -1.9 | 0 | 0 | 2 | -1.8 |
| 2001 | 1 | 0 | 1.6 | 0.6 | -0.9 | 1.2 | 1 | 0.3 | -0.8 | -0.3 | 1.2 | 1.5 | 6.6 |
| 2002 | 1.7 | -0.3 | 0.3 | 0.8 | 2 | 1.2 | 3 | 0 | -1.1 | 1.4 | 0.5 | 0.2 | 9.9 |
| 2003 | 1.6 | 0 | -1.3 | 2.2 | -1.6 | 0.5 | -0.4 | 0.8 | -1.3 | 0.4 | 1.7 | -0.4 | 2.3 |
| 2004 | 1.3 | 1.8 | 1.3 | 1 | -0.4 | -1.1 | 1.1 | -0.4 | -0.2 | -0.5 | 1 | 0 | 5 |
| 2005 | 0.4 | -0.5 | 1.3 | 1.3 | 0.4 | -1.7 | 0.4 | 2.9 | -1.6 | -2.1 | 1.6 | 1.2 | 3.5 |
| 2006 | 0 | -0.8 | -0.3 | -0.7 | -1.5 | -1.1 | 2.4 | 0.3 | -0.9 | 2.6 | -0.6 | 0.1 | -0.5 |
| 2007 | 1.7 | -2.5 | -0.5 | -0.4 | 1.6 | 0.4 | -0.7 | 1.1 | 0.2 | -1.1 | -2.2 | -0.5 | -2.8 |
| 2008 | -2.2 | -1 | -3.4 | -1.9 | 1.1 | 3.3 | -1.2 | -0.6 | -0.1 | -3.2 | -8.1 | 2.7 | -14.1 |
| 2009 | 2.9 | -0.3 | 0.9 | 0.4 | -1.9 | 1.2 | 3.1 | 0.3 | -2.2 | -0.9 | 2.2 | 0.9 | 6.6 |
| 2010 | 2.8 | 0 | 1.8 | 1.4 | 0.3 | -3.4 | 1.9 | -0.2 | 1.4 | -1.1 | 1.2 | 0.5 | 6.6 |
| 2011 | 1.3 | 2.8 | -0.6 | -0.7 | -2.9 | -1.4 | -0.6 | 0.9 | -1.8 | -1.3 | -0.6 | 1.4 | -3.6 |
| 2012 | 0.9 | 2.8 | 0.6 | -0.2 | 5.5 | 3 | -0.8 | 3.9 | 1 | -0.3 | -1.3 | 0.5 | 16.5 |
| 2013 | 1.1 | -0.1 | -0.5 | -2.5 | -1.5 | 1 | -0.6 | -1.2 | -3 | -1.1 | 1.6 | 0.3 | -6.5 |
| 2014 | 0.1 | -0.3 | -0.1 | -0.7 | -0.5 | -0.3 | -0.1 | 0 | 1.2 | -2.6 | 5.6 | -2.5 | -0.6 |
| 2015 | 2.6 | 0.1 | 1.6 | -0.2 | -0.4 | -0.8 | 0.4 | 0.9 | 0.5 | 0 | 0.5 | 0 | 5.2 |
| 2016 | 1.1 | -1.1 | -1.7 | 2 | -0.2 | 3.4 | -0.1 | 1 | 0 | 1 | -0.2 | -2.4 | 2.7 |
| 2017 | -0.5 | 0.5 | 0.5 | -1.3 | 0.2 | 0.1 | 0.2 | -0.5 | -0.2 | 0.6 | 0.1 | 0.8 | 0.4 |
| 2018 | -0.1 | -0.2 | 0.2 | -0.8 | -0.2 | 0.4 | -0.8 | -0.4 | -0.5 | 2.1 | -0.5 | 0.3 | -0.6 |
| 2019 | -0.9 | -2.2 | 0.4 | -0.9 | 1.1 | -1.4 | 1.4 | 0.1 | 1.2 | 0.3 | 0.8 | 0.2 | 0.2 |
| 2020 | 1 | -6.1 | -0.7 | -0.2 | 0.9 | -0.4 | 1.3 | 0.4 | 1.8 | 0.9 | 3.8 | 0.4 | 2.8 |
| 2021 | 3.7 | -0.3 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
